Testing for risk aversion in first-price sealed-bid auctions
| Autor: | Sung Jae Jun, Federico Zincenko |
|---|---|
| Rok vydání: | 2022 |
| Předmět: |
Pointwise
Economics and Econometrics Risk aversion Applied Mathematics 05 social sciences Limiting Parameter space 01 natural sciences Normal distribution 010104 statistics & probability 0502 economics and business Econometrics Common value auction 0101 mathematics 050205 econometrics Mathematics Parametric statistics |
| Zdroj: | Journal of Econometrics. 226:295-320 |
| ISSN: | 0304-4076 |
| DOI: | 10.1016/j.jeconom.2020.11.015 |
| Popis: | We consider testing for risk aversion in first-price sealed-bid auctions with symmetric bidders and independent private values. We impose several restrictions on the parameter space, which are all implied by Guerre et al. (2009)’s exclusion restriction, and we articulate what restrictions are needed for our test to control the limiting size and to be pointwise consistent. Critical values can be obtained from the standard normal distribution. We also analyze local-power properties and show that our test detects local alternative at the parametric rate. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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